E-backtesting risk measures
Abstract: In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most important risk measure in financial regulation. One of the most challenging tasks in risk modeling practice is to backtest ES forecasts provided by financial institutions. Ideally, backtesting should be done based only on daily realized portfolio losses without imposing specific models. Recently, the notion of e-values has gained attention as potential alternatives to p-values as measures of uncertainty, significance and evidence. In this talk, I will mainly present how we use e-values and e-processes to construct a model-free backtesting procedure for ES using a concept of model-free e-statistics, which can be naturally generalized to many other risk measures and statistical quantities. Other work during my PhD on optimizing and characterizing risk measures will also be presented.
Join via Zoom: https://illinois.zoom.us/j/83832936098?pwd=SUpreUoxK0NldXljNzNVYzdMTWgyQT09
